Back on track [QB Pro]

You’ll recall the drawdown that began at the end of March this year. That coincided with major shifts in every currency pair in the portfolio. It was an unpleasant experience to say the least.

The lifetime return on QB Pro’s high risk setting

The shifting appears to be over with. We can get back to the strong trends that the strategy thrives on. QB Pro finished the month up 13.6%.

I project things to get better now that the markets are strongly trending. They’ve again picked a direction and really stuck to it.

The changes made last month paid off. The signal to noise ratio kept us out of some losing trades. The core QB Pro strategy, depicted in this graph from Myfxbook, shows that it’s clearly tracking well under the current market conditions.

The returns only including QB Pro

The QB Yen strategy posted a minor loss. The performance doesn’t discourage me at all. That said, the numbers are telling me that I overweighted the trending component this month. I’m going to put more of the portfolio weight back into QB Pro and take it away from QB Yen.

QB Yen posted a small loss to the portfolio

There are two things that I love about the trending strategy.

1. It’s a trending strategy. It gives us a chance to make money when we’d otherwise be sitting out of the market

2. It expects to make money over the long run

Things are looking great. I’m going to keep the maximum leverage in place at 35:1 on the expectation of similar future performance.

Big news

Now that things are back on track, I’m planning to open QB Pro to new traders in July. Why should you consider joining QB Pro?

Best way to learn is to have money on the line

You can see open trades in real time

Learn what it’s like to suffer knowing that your trading rules expect to contain a mathematical edge

You are willing to risk your money. You face the very real possibility of loss.

QB Pro is open to everyone except US residents and citizens.

If you’re not on my mailing list, make sure that you register so that you’ll receive updates when slots for QB Pro open.

Comments

Interesting. On what basis do you judge that every currency pair encountered a major shift. Shift in what? And what would be the causes?
I ask because I am running 11 strategies that have 40 months solid back test records, each with max DD of around 20%, but during May and June this year they almost all tanked in unison (between 10 and 15% DD each), unlike their previous years back test performance.
I too am hoping for a more productive July.

I use a long term trend filter. You’ll notice for the most part that my trades on a given currency are either all long or all short. Like any filter, it’s prone to oscillation when the trend is near the 0 value. It just so happened that almost every currency pair was near the filter’s 0 value in April-May, causing me to get whipsawed repeatedly. The April pain started when the trends reversed strongly near the 0 value. I was zigging when the market was zagging.

It’s a problem to think about. I could use multiple filters. Ultimately, if the market was going up and then decides to plumment, no amount of trend filters will avoid that scenario. The best realistic solution is to minimize the damage.

Nassim Taleb would characterize that as a robust strategy rather than anti-fragile. That’s a big reason why I’m excited to add QB Yen as a substrategy to the portfolio.

Thanks Shaun. Would you share those long term settings? Is it something like the 50 and 200SMAs?
In my EAs I sometimes use a filter on the MACD (long period settings) so that the histogram has to be at least x units above or below zero line before triggering. That deals with some of the whipsawing. But if x is too large you of course get into a trend rather late when the trend does develop.